Study on the Influence of Stock Index Futures on the Volatility of Spot Market

摘要

Based on the existing literature at home and abroad, the article selects the daily data of the CSI 500 stock index futures and spot price from August 19, 2016 to December 28, 2018, and establishes the quantitative analysis of the GARCH model on the impact of the price fluctuation of the CSI 500 stock index futures on the spot market. The results show that there is a cointegration relationship between the CSI 500 stock index futures and the spot market, and the spot market with the CSI 500 index as the target is asymmetrical by the impact of good news and bad news, and the impact of bad news on the Spot market of the CSI 500 is greater.